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      name:  <unnamed>
       log:  /Users/ssaiegh/Files/Mac/UCSD/Carnahan/Shocks/Replication Files/Appendix E.log
  log type:  text
 opened on:   6 Aug 2021, 11:43:45

. use "daily_sp_argentina_2020.dta";

. gen case_id= _n;

. tsset case_id;
        time variable:  case_id, 1 to 13102
                delta:  1 unit

. gen event=(steward==1 | gov_change==1 | dem_change==1 | elec==1 | terror==1);

. gen ret_nom=log(nominal/L.nominal);
(1 missing value generated)

. gen ret_inf=log(inflation/L.inflation);
(1 missing value generated)

. gen ret_dol=log(dollar/L.dollar);
(1 missing value generated)

. /* Table E1: Structural Break Tests*/;
.  /* Conditional Mean*/;
.  qui: regress ret_nom L.ret_nom ret_sp;

. predict res_nom, res;
(2 missing values generated)

. gen var_nom=0.5*(res_nom-L.res_nom)^2;
(3 missing values generated)

. estat sbsingle, breakvars(, constant) generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        6094
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            46.9020           0.0000
-----------------------------------------------
Exogenous variables:           L.ret_nom ret_sp
Coefficients included in test:  _cons

. list date if swald>46.901 & swald!=.;

       +------------+
       |       date |
       |------------|
 6094. | 10/15/1991 |
       +------------+

. drop swald;

. qui: regress ret_inf L.ret_inf ret_sp_real;

. predict res_inf, res;
(2 missing values generated)

. gen var_inf=0.5*(res_inf-L.res_inf)^2;
(3 missing values generated)

. estat sbsingle, breakvars(, constant) generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        2103
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald             1.4810           0.9123
-----------------------------------------------
Exogenous variables:           L.ret_inf ret_sp_real
Coefficients included in test:  _cons

. list date if swald>1.48 & swald!=.;

       +------------+
       |       date |
       |------------|
 2103. | 09/03/1975 |
       +------------+

. drop swald;

. qui: regress ret_dol L.ret_dol ret_sp_real;

. predict res_dol, res;
(2 missing values generated)

. gen var_dol=0.5*(res_dol-L.res_dol)^2;
(3 missing values generated)

. estat sbsingle, breakvars(, constant) generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        2097
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald             2.1838           0.7403
-----------------------------------------------
Exogenous variables:           L.ret_dol ret_sp_real
Coefficients included in test:  _cons

. list date if swald>2.183 & swald!=.;

       +------------+
       |       date |
       |------------|
 2097. | 08/26/1975 |
       +------------+

. drop swald;

. /* Conditional Variance*/;
.  qui: regress var_nom;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,099

Full sample:                 4    - 13102
Trimmed sample:              1969 - 11138
Estimated break date:        6135
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            39.1764           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald> 39.176 & swald!=.;

       +------------+
       |       date |
       |------------|
 6135. | 12/12/1991 |
       +------------+

. drop swald;

. qui: regress var_inf;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,099

Full sample:                 4    - 13102
Trimmed sample:              1969 - 11138
Estimated break date:        5975
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            47.2057           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald> 47.205 & swald!=.;

       +------------+
       |       date |
       |------------|
 5975. | 04/24/1991 |
       +------------+

. drop swald;

. qui: regress var_dol;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,099

Full sample:                 4    - 13102
Trimmed sample:              1969 - 11138
Estimated break date:        5975
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            52.7614           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald> 52.761 & swald!=.;

       +------------+
       |       date |
       |------------|
 5975. | 04/24/1991 |
       +------------+

. drop swald;

. /* Unconditional Mean*/;
.  regress ret_nom;

      Source |       SS           df       MS      Number of obs   =    13,101
-------------+----------------------------------   F(0, 13100)     =      0.00
       Model |           0         0           .   Prob > F        =         .
    Residual |  10.4810467    13,100   .00080008   R-squared       =    0.0000
-------------+----------------------------------   Adj R-squared   =    0.0000
       Total |  10.4810467    13,100   .00080008   Root MSE        =    .02829

------------------------------------------------------------------------------
     ret_nom |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   .0022989   .0002471     9.30   0.000     .0018145    .0027833
------------------------------------------------------------------------------

. predict res_nom2, res;
(1 missing value generated)

. gen var_nom2=0.5*(res_nom2-L.res_nom2)^2;
(2 missing values generated)

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,101

Full sample:                 2    - 13102
Trimmed sample:              1968 - 11137
Estimated break date:        6096
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            55.9935           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>  55.993 & swald!=.;

       +------------+
       |       date |
       |------------|
 6096. | 10/17/1991 |
       +------------+

. drop swald;

. regress ret_inf;

      Source |       SS           df       MS      Number of obs   =    13,101
-------------+----------------------------------   F(0, 13100)     =      0.00
       Model |           0         0           .   Prob > F        =         .
    Residual |  16.8644641    13,100  .001287364   R-squared       =    0.0000
-------------+----------------------------------   Adj R-squared   =    0.0000
       Total |  16.8644641    13,100  .001287364   Root MSE        =    .03588

------------------------------------------------------------------------------
     ret_inf |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   .0000365   .0003135     0.12   0.907     -.000578    .0006509
------------------------------------------------------------------------------

. predict res_inf2, res;
(1 missing value generated)

. gen var_inf2=0.5*(res_inf2-L.res_inf2)^2;
(2 missing values generated)

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,101

Full sample:                 2    - 13102
Trimmed sample:              1968 - 11137
Estimated break date:        2103
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald             2.2625           0.7211
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>   2.262 & swald!=.;

       +------------+
       |       date |
       |------------|
 2103. | 09/03/1975 |
       +------------+

. drop swald;

. regress ret_dol;

      Source |       SS           df       MS      Number of obs   =    13,101
-------------+----------------------------------   F(0, 13100)     =      0.00
       Model |           0         0           .   Prob > F        =         .
    Residual |  14.1457415    13,100  .001079828   R-squared       =    0.0000
-------------+----------------------------------   Adj R-squared   =    0.0000
       Total |  14.1457415    13,100  .001079828   Root MSE        =    .03286

------------------------------------------------------------------------------
     ret_dol |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   .0001164   .0002871     0.41   0.685    -.0004464    .0006791
------------------------------------------------------------------------------

. predict res_dol2, res;
(1 missing value generated)

. gen var_dol2=0.5*(res_dol2-L.res_dol2)^2;
(2 missing values generated)

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,101

Full sample:                 2    - 13102
Trimmed sample:              1968 - 11137
Estimated break date:        2113
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald             3.1873           0.5161
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>  3.187 & swald!=.;

       +------------+
       |       date |
       |------------|
 2113. | 09/17/1975 |
       +------------+

. drop swald;

. /* Unconditional Variance*/;
.  qui: regress var_nom2;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        6134
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            34.4812           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>  34.481 & swald!=.;

       +------------+
       |       date |
       |------------|
 6134. | 12/11/1991 |
       +------------+

. drop swald;

. qui: regress var_inf2;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        5959
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            44.8492           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>  44.849 & swald!=.;

       +------------+
       |       date |
       |------------|
 5959. | 04/02/1991 |
       +------------+

. drop swald;

. qui: regress var_dol2;

. estat sbsingle, generate(swald) nodots swald;

Test for a structural break: Unknown break date

                             Number of obs =     13,100

Full sample:                 3    - 13102
Trimmed sample:              1968 - 11138
Estimated break date:        5722
Ho: No structural break

     Test            Statistic          p-value
-----------------------------------------------
     swald            47.0998           0.0000
-----------------------------------------------
Coefficients included in test: _cons

. list date if swald>   47.099 & swald!=.;

       +------------+
       |       date |
       |------------|
 5722. | 04/16/1990 |
       +------------+

. drop swald;

. log c;
      name:  <unnamed>
       log:  /Users/ssaiegh/Files/Mac/UCSD/Carnahan/Shocks/Replication Files/Appendix E.log
  log type:  text
 closed on:   6 Aug 2021, 11:48:52
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